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Elements of Stochastic Calculus via Regularisation

Francesco Russo·Pierre Vallois
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Abstract

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure Itô and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite quadratic variation processes, Dirichlet and weak Dirichlet processes.

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Francesco Russo, Pierre Vallois. 2006-03-09. Elements of Stochastic Calculus via Regularisation. https://arxiv.org/abs/math/0603224

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